Footnote:
Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments September 27, 2022 erstellt
Description:
I present a theory of investor selling behavior in which the disposition effect arises because investors are slow to update their beliefs about the values of the assets they hold. I show numerically that the theory generates a disposition effect, propensity to sell functions, and other trading statistics that are in line with empirical estimates. I also show that the theory generates a reversed disposition effect at the end of the tax year, a weaker effect for more sophisticated investors, a stronger effect in more volatile stocks, and a disposition effect in short sales